Pendekatan Vector Error Correction Model Untuk Analisis Hubungan Inflasi, Bi Rate Dan Kurs Dolar Amerika Serikat

Sinay, Lexy J.

doi:10.30598/barekengvol8iss2pp9-18

Cited by 22 publications

(14 citation statements)

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“…The value of t-statistics, it can be seen from the P-value is smaller than alpha 5% (p-value<5%) (Sinay, 2014). The results of the ADF test found that all data in this study are stationary at first difference.…”

Section: Test Of Stationaritymentioning

confidence: 52%

Does Investment, Zakat, Infak and Shadaqah and Inflation Infuence the Economic Growth?: Evidence from Indonesia

triyawan¹

2022

Preprint

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Economic growth became the topic of discussion that is important in the country's economy (Manzoor, et., al., 2019; Urbano, et. al, 2019; Susilawati, et, al, 2020). Economic growth is seen as the long-term macroeconomic problem, which has been seen as the benchmark for its economic development. Economic growth is a form of development of economic activities that increase the production of goods and services (Ivanović-Djukić, et, al. 2018; Sherwood, 2019). The main component of economic growth is the accumulation of capital, which covers all types of investment in the capital; population growth will contribute to the total labor force; and support the advancement of technology (Sukirno, 2015).Gross Domestic Product (GDP) is one of indicator for determining the country's economic state and development. GDP is the total value of final goods and services produced by all monetary units (Center Bureau of Statistics, 2021). The economy will grow if the total production of goods and services in a given year is higher than in the previous year. The economic growth rate of Indonesia's GDP fluctuates between 2014 and 2020.

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Section: Test Of Stationaritymentioning

confidence: 52%

Does Investment, Zakat, Infak and Shadaqah and Inflation Infuence the Economic Growth?: Evidence from Indonesia

triyawan¹

2022

Preprint

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“…Before modeling the Vector Panel Error Correction Model (PVECM), it is recommended to perform a co-integration test conducted to find out if the variables used have a relationship or not (Sinay, 2014). The concept of co-integration is basically to see the long-term balance between the observed variables.…”

Section: Cointegration Testmentioning

confidence: 99%

Effectiveness of controlling foreign portfolio investment inflows using macroeconomic policy instruments and institutional strengthening (case study in Indonesia and Thailand)

Zainuri

2021

JPEB

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This study analyzed the influence of macroeconomic and institutional variables on foreign portfolio investment inflows in two ASEAN countries, Namely Indonesia and Thailand, in 2005 – 2019. The analytical tools used in this research are Panel Vector Error Correction Model (PVECM) and Panel Ordinary Least Square (POLS). The estimation results show that the macroeconomic variables that are proxied using inflation and openness economy and institutional variables that are proxied using the variable level of corruption and quality of regulation have a significant effect. In the long term, the inflation rate, the openness economy, and the quality of regulation variables significantly affect foreign portfolio investment. Meanwhile, in a short time, only the inflation rate variable and the openness ratio have a significant effect on foreign portfolio investment. The two analytical tools used found that macroeconomic and institutional variables consistently affect foreign portfolio investment.

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“…Adapun model persamaan VECM secara umum adalah sebagai berikut (Juanda dan Junaidi, 2012) : = vektor koefisien regresi t = tren waktu x = x' dimana ' mengandung persamaan kointegrasi jangk panjang Yt-1 = variabel in-level  = matriks koefisien regresi k-1 = ordo VECM dari VAR t = error term 6. Analisis Impuls Response Function (IRF) Analisis ini bertujuan untuk melihat efek (pengaruh) dari setiap variabel (endogen) jika diberikan shock atau impulse (guncangan) (Sinay, 2014).…”

Section: Estimasi Vecmunclassified

“…Analisis ini bertujuan untuk memprediksi kontribusi setiap variabel (persentase variansi setiap variabel) yang diakibatkan oleh perubahan variabel tertentu dalam sebuah sistem (Sinay, 2014).…”

Section: Analisis Forecast Error Variance Decomposition (Fevd)unclassified

Dampak Fluktuasi Harga Tiga Komoditas Volatile Food Terhadap Inflasi Di Kota Pangkalpinang

Kusmutiarani

2018

JEPA

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The fluctuations of volatile foods commodities (rice, onion, and chicken meat) prices has contributed to the inflation in Pangkalpinang, therefore it can affect the prosperity of society in Pangkalpinang. This research aims to analyze the impact of three main volatile foods commodities, namely rice, onion, and chicken meat to the inflation in Pangkalpinang. The data used are monthly time series data from January 2012 to December 2016. The data was analyzed by using VAR (Vector Autoregression) model or VECM (Vector Error Correction Model). The result shows that in short term, 2 commodites have positive impacts to the inflation in Pangkalpinang, those are rice and onion. Also in long term, 2 commodities have positive impacts to the inflation in Pangkalpinang, those are rice and chicken meat. The IRF (Impulse Response Functions) analysis shows that the response of Consumer Price Index (CPI) of Pangkalpinang towards the shaking of rice and onion prices reaches balance point in long term, while chicken meat price does not reach balance point in long term and short term. The FEVD (Forecast Error Variance Decomposition) analysis shows that the price of chicken meat most contributes to the inflation in Pangkalpinang. ABSTRAKFluktuasi harga ketiga komoditas volatile foods (beras, bawang merah, dan daging ayam ras) memberikan kontribusi yang besar terhadap inflasi di Kota Pangkalpinang, sehingga dapat mempengaruhi kesejahteraan masyarakat di Kota Pangkalpinang. Penelitian ini bertujuan untuk menganalisis dampak fluktuasi harga tiga komoditas volatile foods utama yaitu beras, bawang merah, dan daging ayam ras terhadap inflasi di Kota Pangkalpinang. Data yang digunakan adalah data time series bulanan dari Januari 2012 hingga Desember 2016 dan dianalasis menggunakan model VAR (Vector Autoregression) atau VECM (Vector Error Correction Model). Hasil penelitian menunjukkan bahwa dalam jangka pendek terdapat dua komoditas yang berpengaruh positif terhadap inflasi di Kota Pangkalpinang yaitu beras dan bawang merah. Dalam jangka panjang juga terdapat dua komoditas yang berpengaruh positif terhadap inflasi di Kota Pangkalpinang yaitu beras dan daging ayam ras. Analisis IRF (Impulse Response Function) menunjukkan respon Indeks Harga Konsumen (IHK) Pangkalpinang terhadap guncangan harga beras dan bawang merah mencapai titik keseimbangan pada jangka panjang, sementara harga daging ayam ras tidak mencapai titik keseimbangan pada jangka panjang dan jangka pendek. Analisis FEVD (Forecast Error Variance Decompositon) menunjukkan bahawa harga daging ayam ras memberikan kontribusi paling besar terhadap inflasi di Kota Pangkalpinang.

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Pendekatan Vector Error Correction Model Untuk Analisis Hubungan Inflasi, Bi Rate Dan Kurs Dolar Amerika Serikat

Cited by 22 publications

References 1 publication

Does Investment, Zakat, Infak and Shadaqah and Inflation Infuence the Economic Growth?: Evidence from Indonesia

Does Investment, Zakat, Infak and Shadaqah and Inflation Infuence the Economic Growth?: Evidence from Indonesia

Effectiveness of controlling foreign portfolio investment inflows using macroeconomic policy instruments and institutional strengthening (case study in Indonesia and Thailand)

Dampak Fluktuasi Harga Tiga Komoditas Volatile Food Terhadap Inflasi Di Kota Pangkalpinang

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